<p>In this paper, we present a comprehensive study on the generalizations of skew Brownian motion and skew sticky Brownian motion by considering non-local operators at the origin for the heat equations on the real line. To begin, we introduce Marchaud-type operators and Caputo–Dzherbashian-type operators, providing an in-depth exposition of their fundamental properties. Subsequently, we describe the two stochastic processes and the associated equations. The non-local skew Brownian motion exhibits jumps, as a subordinator, at zero where the sign of the jump is determined by a skew coin. Conversely, the non-local skew sticky Brownian motion displays stickiness at zero, behaving as the inverse of a subordinator, resulting in non-Markovian dynamics.</p>

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Non-local skew and non-local skew sticky Brownian motions

  • Fausto Colantoni

摘要

In this paper, we present a comprehensive study on the generalizations of skew Brownian motion and skew sticky Brownian motion by considering non-local operators at the origin for the heat equations on the real line. To begin, we introduce Marchaud-type operators and Caputo–Dzherbashian-type operators, providing an in-depth exposition of their fundamental properties. Subsequently, we describe the two stochastic processes and the associated equations. The non-local skew Brownian motion exhibits jumps, as a subordinator, at zero where the sign of the jump is determined by a skew coin. Conversely, the non-local skew sticky Brownian motion displays stickiness at zero, behaving as the inverse of a subordinator, resulting in non-Markovian dynamics.